SAS/ETS 9.22 User''''s Guide 47 ppt

1949, “Application of Least Squares Regression to Relationships Containing Autocorrelated Error Terms,” Journal of the American Statistical Association, 44, 32–61.. 1992, “The Power Prob

Output 8.8.4 Partial Autocorrelation of Residuals Plot

Output 8.8.5 Inverse Autocorrelation of Residuals Plot

Output 8.8.6 Tests for White Noise Residuals Plot

Output 8.8.7 Q-Q Plot of Residuals

Output 8.8.8 Histogram of Residuals

Anderson, T W and Mentz, R P (1980), “On the Structure of the Likelihood Function of Autore-gressive and Moving Average Models,” Journal of Time Series, 1, 83–94

Ansley, C F., Kohn, R., and Shively, T S (1992), “Computing p-Values for the Generalized Durbin-Watson and Other Invariant Test Statistics,” Journal of Econometrics, 54, 277–300

Baillie, R T and Bollerslev, T (1992), “Prediction in Dynamic Models with Time-Dependent Conditional Variances,” Journal of Econometrics, 52, 91–113

Balke, N S and Gordon, R J (1986), “Historical Data,” in R J Gordon, ed., The American Business Cycle, 781–850, Chicago: The University of Chicago Press

Bartels, R (1982), “The Rank Version of von Neumann’s Ratio Test for Randomness,” Journal of the American Statistical Association, 77(377), 40–46

Beach, C M and MacKinnon, J G (1978), “A Maximum Likelihood Procedure for Regression with Autocorrelated Errors,” Econometrica, 46, 51–58

Bhargava, A (1986), “On the Theory of Testing for Unit Roots in Observed Time Series,” The Review of Economic Studies, 53, 369–384

Bollerslev, T (1986), “Generalized Autoregressive Conditional Heteroskedasticity,” Journal of Econometrics, 31, 307–327

Bollerslev, T (1987), “A Conditionally Heteroskedastic Time Series Model for Speculative Prices and Rates of Return,” The Review of Economics and Statistics, 69, 542–547

Box, G E P and Jenkins, G M (1976), Time Series Analysis: Forecasting and Control, Revised Edition, San Francisco: Holden-Day

Breitung, J (1995), “Modified Stationarity Tests With Improved Power in Small Samples,” Statistical Papers, 36, 77–95

Breusch, T S and Pagan, A R (1979), “A Simple Test for Heteroscedasticity and Random Coeffi-cient Variation,” Econometrica, 47, 1287–1294

Broock, W A., Dechert, W D., and Scheinkman, J A (1987), “A Test for Independence Based

on the Correlation Dimension,” Department of Economics, University of Wisconsin at Madison, University of Houston, and University of Chicago

Broock, W A., Scheinkman, J A., Dechert, W D., and LeBaron, B (1996), “A Test for Independence Based on the Correlation Dimension,” Econometric Reviews, 15(3), 197–235

Campbell, J Y and Perron, P (1991), “Pitfalls and Opportunities: What Macroeconomists Should Know About Unit Roots,” NBER Macroeconomics Annual, 141–201

Caner, M and Kilian, L (2001), “Size Distortions Of Tests Of The Null Hypothesis Of Stationarity: Evidence And Implications For The PPP Debate,” Journal of International Money and Finance,

20, 639–657

Chipman, J S (1979), “Efficiency of Least Squares Estimation of Linear Trend When Residuals Are Autocorrelated,” Econometrica, 47, 115–128

Chow, G (1960), “Tests of Equality between Sets of Coefficients in Two Linear Regressions,” Econometrica, 28, 531–534

Cochrane, D and Orcutt, G H (1949), “Application of Least Squares Regression to Relationships Containing Autocorrelated Error Terms,” Journal of the American Statistical Association, 44, 32–61

Cromwell, J B., Labys, W C., and Terraza, M (1994), Univariate Tests for Time Series Models, Thousand Oaks, CA: Sage

Davidson, R and MacKinnon, J G (1993), Estimation and Inference in Econometrics, New York: Oxford University Press

Davies, R B (1973), “Numerical Inversion of a Characteristic Function,” Biometrika, 60, 415–417 DeJong, D N., Nankervis, J C., Savin, N E., and Whiteman, C H (1992), “The Power Problems of Unit Root Rest in Time Series with Autoregressive Errors,” Journal of Econometrics, 53, 323–343 Dickey, D A and Fuller, W A (1979), “Distribution of the Estimators for Autoregressive Time Series with a Unit Root,” Journal of the American Statistical Association, 74, 427–431

Ding, Z., Granger, C W J., and Engle, R (1993), “A Long Memory Property of Stock Market Returns and a New Model,” Journal of Empirical Finance, 1, 83–106

Duffie, D (1989), Futures Markets, Englewood Cliffs, NJ: Prentice Hall

Durbin, J (1969), “Tests for Serial Correlation in Regression Analysis Based on the Periodogram of Least-Squares Residuals,” Biometrika, 56, 1–15

Durbin, J (1970), “Testing for Serial Correlation in Least-Squares Regression When Some of the Regressors Are Lagged Dependent Variables,” Econometrica, 38, 410–421

Edgerton, D and Wells, C (1994), “Critical Values for the CUSUMSQ Statistic in Medium and Large Sized Samples,” Oxford Bulletin of Economics and Statistics, 56, 355–365

Elliott, G., Rothenberg, T J., and Stock, J H (1996), “Efficient Tests for an Autoregressive Unit Root,” Econometrica, 64, 813–836

Engle, R F (1982), “Autoregressive Conditional Heteroscedasticity with Estimates of the Variance

of United Kingdom Inflation,” Econometrica, 50, 987–1007

Engle, R F and Bollerslev, T (1986), “Modelling the Persistence of Conditional Variances,” Econo-metric Review, 5, 1–50

Engle, R F and Granger, C W J (1987), “Co-Integration and Error Correction: Representation, Estimation, and Testing,” Econometrica, 55, 251–276

Engle, R F., Lilien, D M., and Robins, R P (1987), “Estimating Time Varying Risk in the Term Structure: The ARCH-M Model,” Econometrica, 55, 391–407

Engle, R F and Ng, V K (1993), “Measuring and Testing the Impact of News on Volatility,” Journal

of Finance, 48, 1749–1778

Engle, R F and Yoo, B S (1987), “Forecasting and Testing in Co-integrated Systems,” Journal of Econometrics

Fuller, W A (1976), Introduction to Statistical Time Series, New York: John Wiley & Sons

Gallant, A R and Goebel, J J (1976), “Nonlinear Regression with Autoregressive Errors,” Journal

of the American Statistical Association, 71, 961–967

Glosten, L., Jaganathan, R., and Runkle, D (1993), “Relationship between the Expected Value and Volatility of the Nominal Excess Returns on Stocks,” Journal of Finance, 48, 1779–1802

Godfrey, L G (1978a), “Testing against General Autoregressive and Moving Average Error Models When the Regressors Include Lagged Dependent Variables,” Econometrica, 46, 1293–1301

Godfrey, L G (1978b), “Testing for Higher Order Serial Correlation in Regression Equations When the Regressors Include Lagged Dependent Variables,” Econometrica, 46, 1303–1310

Godfrey, L G (1988), Misspecification Tests in Econometrics, Cambridge: Cambridge University Press

Golub, G H and Van Loan, C F (1989), Matrix Computations, Second Edition, Baltimore: Johns Hopkins University Press

Greene, W H (1993), Econometric Analysis, Second Edition, New York: Macmillan

Hamilton, J D (1994), Time Series Analysis, Princeton, NJ: Princeton University Press

Hannan, E J and Quinn, B G (1979), “The Determination of the Order of an Autoregression,” Journal of the Royal Statistical Society, Series B, 41, 190–195

Harvey, A C (1981), The Econometric Analysis of Time Series, New York: John Wiley & Sons Harvey, A C (1990), The Econometric Analysis of Time Series, Second Edition, Cambridge: MIT Press

Harvey, A C and McAvinchey, I D (1978), “The Small Sample Efficiency of Two-Step Estimators

in Regression Models with Autoregressive Disturbances,” Discussion Paper No 78-10, University

of British Columbia

Harvey, A C and Phillips, G D A (1979), “Maximum Likelihood Estimation of Regression Models with Autoregressive-Moving Average Disturbances,” Biometrika, 66, 49–58

Hayashi, F (2000), Econometrics, Princeton University Press

Hildreth, C and Lu, J Y (1960), Demand Relations with Autocorrelated Disturbances, Technical Report 276, Michigan State University Agricultural Experiment Station, East Lansing, MI

Hobijn, B., Franses, P H., and Ooms, M (2004), “Generalization of the KPSS-Test for Stationarity,” Statistica Neerlandica, 58, 483–502

Hurvich, C M and Tsai, C.-L (1989), “Regression and Time Series Model Selection in Small Samples,” Biometrika, 76, 297–307

Inder, B A (1984), “Finite-Sample Power of Tests for Autocorrelation in Models Containing Lagged Dependent Variables,” Economics Letters, 14, 179–185

Inder, B A (1986), “An Approximation to the Null Distribution of the Durbin-Watson Statistic in Models Containing Lagged Dependent Variables,” Econometric Theory, 2, 413–428

Jarque, C M and Bera, A K (1980), “Efficient Tests for Normality, Homoskedasticity and Serial Independence of Regression Residuals,” Economics Letters, 6, 255–259

Johansen, S (1988), “Statistical Analysis of Cointegration Vectors,” Journal of Economic Dynamics and Control, 12, 231–254

Johansen, S (1991), “Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models,” Econometrica, 59, 1551–1580

Johnston, J (1972), Econometric Methods, Second Edition, New York: McGraw-Hill

Jones, R H (1980), “Maximum Likelihood Fitting of ARMA Models to Time Series with Missing Observations,” Technometrics, 22, 389–396

Judge, G G., Griffiths, W E., Hill, R C., Lutkepohl, H., and Lee, T C (1985), The Theory and Practice of Econometrics, Second Edition, New York: John Wiley & Sons

Kanzler, L (1999), “Very Fast and Correctly Sized Estimation of the BDS Statistic,” Christ Church and Department of Economics, University of Oxford

King, M L and Wu, P X (1991), “Small-Disturbance Asymptotics and the Durbin-Watson and Related Tests in the Dynamic Regression Model,” Journal of Econometrics, 47, 145–152 Kwiatkowski, D., Phillips, P C B., Schmidt, P., and Shin, Y (1992), “Testing the Null Hypothesis of Stationarity against the Alternative of a Unit Root,” Journal of Econometrics, 54, 159–178 Lee, J H and King, M L (1993), “A Locally Most Mean Powerful Based Score Test for ARCH and GARCH Regression Disturbances,” Journal of Business and Economic Statistics, 11(1), 17–27 L’Esperance, W L., Chall, D., , and Taylor, D (1976), “An Algorithm for Determining the Distribu-tion FuncDistribu-tion of the Durbin-Watson Test Statistic,” Econometrica, 44, 1325–1326

MacKinnon, J G (1991), “Critical Values for Cointegration Tests,” in Long-Run Economic Relation-ships, Oxford University Press

Maddala, G S (1977), Econometrics, New York: McGraw-Hill

Maeshiro, A (1976), “Autoregressive Transformation, Trended Independent Variables and Autocor-related Disturbance Terms,” Review of Economics and Statistics, 58, 497–500

McLeod, A I and Li, W K (1983), “Diagnostic Checking ARMA Time Series Models Using Squared-Residual Autocorrelations,” Journal of Time Series Analysis, 4, 269–273

Nelson, C R and Plosser, C I (1982), “Trends and Random Walks in Macroeconomic Time Series: Some Evidence and Implications,” Journal of Monetary Economics, 10, 139–162

Nelson, D B (1990), “Stationarity and Persistence in the GARCH(1,1) Model,” Econometric Theory,

6, 318–334

Nelson, D B (1991), “Conditional Heteroskedasticity in Asset Returns: A New Approach,” Econo-metrica, 59, 347–370

Nelson, D B and Cao, C Q (1992), “Inequality Constraints in the Univariate GARCH Model,” Journal of Business & Economic Statistics, 10, 229–235

Newey, W K and West, D W (1987), “A Simple, Positive Semi-definite, Heteroscedasticity and Autocorrelation Consistent Covariance Matrix,” Econometrica, 55, 703–708

Ng, S and Perron, P (2001), “Lag Length Selection and the Construction of Unit Root Tests with Good Size and Power,” Econometrica, 69, 1519–1554

Park, R E and Mitchell, B M (1980), “Estimating the Autocorrelated Error Model with Trended Data,” Journal of Econometrics, 13, 185–201

Phillips, P (1997), “Time Series Regression with a Unit Root,” Econometrica, 55, 277–301

Phillips, P C and Ouliaris, S (1990), “Asymptotic Properties of Residual Based Tests for Cointegra-tion,” Econometrica, 58, 165–193

Phillips, P C and Perron, P (1988), “Testing for a Unit Root in Time Series Regression,” Biometrika,

75, 335–346

Prais, S J and Winsten, C B (1954), “Trend Estimators and Serial Correlation,” Cowles Commission Discussion Paper No 383

Ramsey, J B (1969), “Tests for Specification Errors in Classical Linear Least Squares Regression Analysis,” Journal of Royal Statistical Society

Said, S E and Dickey, D A (1984), “Testing for Unit Roots in ARMA Models of Unknown Order,” Biometrika, 71, 599–607

Savin, N E and White, K J (1978), “Testing for Autocorrelation with Missing Observations,” Econometrica, 46, 59–67

Schwarz, G (1978), “Estimating the Dimension of a Model,” Annals of Statistics, 6, 461–464

Schwert, G (1989), “Tests for Unit Roots: A Monte Carlo Investigation,” Journal of Business and Economic Statistics, 7, 147–159

Shively, T S (1990), “Fast Evaluation of the Distribution of the Durbin-Watson and Other Invariant Test Statistics in Time Series Regression,” Journal of the American Statistical Association, 85, 676–685

Spitzer, J J (1979), “Small-Sample Properties of Nonlinear Least Squares and Maximum Likeli-hood Estimators in the Context of Autocorrelated Errors,” Journal of the American Statistical Association, 74, 41–47

Stock, J (1994), Unit Roots, Structural Breaks and Trends, chapter 46, 2739–2841, Elsevier

Stock, J H and Watson, M W (1988), “Testing for Common Trends,” Journal of the American Statistical Association

Theil, H (1971), Principles of Econometrics, New York: John Wiley & Sons